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Improved Liu Estimators for the Poisson Regression Model
Jönköping University, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics. (Statistik)
Department of Mathematics and Statistics, Florida International University Miami, Florida, USA.
Jönköping University, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics. (Statistik)
Jönköping University, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics. (Statistik)
2012 (engelsk)Inngår i: International Journal of Statistics and Probability, ISSN 1927-7032, Vol. 1, nr 1Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

A new shrinkage estimator for the Poisson model is introduced in this paper. This method is a generalization of the Liu (1993) estimator originally developed for the linear regression model and will be generalized here to be used instead of the classical maximum likelihood (ML) method in the presence of multicollinearity since the mean squared error (MSE) of ML becomes inflated in that situation. Furthermore, this paper derives the optimal value of the shrinkage parameter and based on this value some methods of how the shrinkage parameter should be estimated are suggested. Using Monte Carlo simulation where the MSE and mean absolute error (MAE) are calculated it is shown that when the Liu estimator is applied with these proposed estimators of the shrinkage parameter it always outperforms the ML.

sted, utgiver, år, opplag, sider
2012. Vol. 1, nr 1
Emneord [en]
Estimation, MSE, MAE, Multicollinearity, Poisson, Liu, Simulation
HSV kategori
Identifikatorer
URN: urn:nbn:se:hj:diva-20140DOI: 10.5539/ijsp.v1n1p2Lokal ID: ;intsam;580624OAI: oai:DiVA.org:hj-20140DiVA, id: diva2:580624
Tilgjengelig fra: 2012-12-23 Laget: 2012-12-23 Sist oppdatert: 2021-03-03bibliografisk kontrollert

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